Description Usage Arguments Details Value Author(s) References See Also Examples
Bayesian method to compute forecasts of a MTAR model
1 | mtarforecast(regimemodel,h,level = 0.95, chain = FALSE, b = NULL)
|
regimemodel |
object of class “ |
h |
numeric type, steps for forecast. Not NULL |
level |
numeric type, confident interval for estimations. Default 0.95 |
chain |
logical type, if return chains of forecasts. Default TRUE |
b |
numeric type greater or equal 1, autoregressive order of Ut = (Zt ,Xt). Default NULL meaning 1 |
Based on the equation of the Multivariate Threshold Autoregressive(MTAR) Model
Y_t= φ^{(j)}_{0}+ ∑_{i=1}^{p_j} φ_{i}^{(j)}Y_{t-i}+ ∑_{i=1}^{q_j}β_{i}^{(j)}X_{t-i} + ∑{i=1}^{d_j}δ_{i}^{(j)}Z_{t-i} +Σ_{(j)}^{1/2} ε_{t} if r_{j-1}< Z_t ≤ r_{j},
where process \{ε_{t}\} is a k-variate independent Gaussian process, \{Y_t\} is k-variate process, \{X_t\} is a ν - variate process. The function implements Bayesian estimation that gives us the forecasts for the response and exogenous variable vectors. The coverage percentages of the forecast intervals and the variability of the predictive distributions.
Return a list type object
forecast |
list type object with confident interval, mean value of the forecasts and if the chains if TRUE |
tsregime |
object of class tsregime of the final Output process with forecast |
FNDP |
Frobenius norm of the covariance matrix of the predictive distribution for Yt and Ut |
Valeria Bejarano vbejaranos@unal.edu.co & Andrey Rincon adrincont@unal.edu.co
Calderon, S., & Nieto, F. H. (2021). Forecasting with Multivariate Threshold Autoregressive Models. Revista Colombiana de Estadística, 44(2), 369-383.
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